Heat oven to 375°F. Grease cookie sheets with shortening or cooking spray. In large bowl, beat granulated sugar, 1/2 cup butter, 1 teaspoon vanilla and the egg with electric mixer on medium speed until well blended. Stir in 1 cup milk (mixture will look curdled). Stir in remaining cookie ingredients.
Drop dough by rounded tablespoonfuls 2 inches apart onto cookie sheets.
Bake 7 to 9 minutes or until edges appear set. Cool 1 minute; remove cookies to cooling rack. Cool completely.
In large bowl, beat all filling ingredients on medium speed about 2 minutes or until light and fluffy. Place flat sides of 2 cookies together with 2 tablespoons filling, sandwich-style. Sprinkle edges of filling with crushed candy. Store in tightly covered container.